A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
FISAR uses neural networks to optimize safe reinforcement learning with forward-invariant constraints.
Recurrent and convolutional neural networks are the most common architectures used for time series forecasting in deep learning literature. These networks use parameter sharing by repeating a set of fixed architectures with fixed parameters over time or space. The result is that the overall architecture is time-invaria…
For a closed locally symmetric space M=Γ\G/K and a representation of G we consider the push-forward of the fundamental class in the homology of the linear group and a related invariant in algebraic K-theory. We discuss the nontriviality of this invariant and we generalize the construction to cusped locally symmetric sp…
Let denote the identity connected component of the real orthogonal group with signature . We give a complete description of the spaces of continuous and generalized translation- and -invariant valuations, generalizing Hadwiger's classification of Euclidean isometry-invari…
Siegel's paradox is a fundamental question in international finance about exchange rates for futures contracts and has puzzled many scholars for over forty years. The unorthodox approach presented in this article leads to an arbitrage-free solution which is invariant under currency re-denominations and is symmetric, as…
We give a proof of the cobordism invariance of the index of elliptic pseudodifferential operators on sigma-compact manifolds, where, in the non-compact case, the operators are assumed to be multiplication outside a compact set. We show that, if the principal symbol class of such an elliptic operator on the boundary of …
The main result of this paper that a martingale evolution can be chosen for Libor such that all the Libor interest rates have a common market measure; the drift is fixed such that each Libor has the martingale property. Libor is described using a field theory model, and a common measure is seen to be emerge naturally f…
The paper proves an inequality and describes a curve flow in centro-affine geometry.
New Lipschitz bound for ReLU networks resists weight rescaling.
We define Gromov--Witten invariants of exploded manifolds. The technical heart of this paper is a construction of a virtual fundamental class of any Kuranishi category (which is a simplified, more general version of an embedded Kuranishi structure.) We also show how to integrate differential…
We introduce a new knot diagram invariant called the Self-Crossing Index (SCI). Using SCI, we provide bounds for unknotting two families of framed unknots. For one of these families, unknotting using framed Reidemeister moves is significantly harder than unknotting using regular Reidemeister moves. We also investigate …
DDEQs extend DEQs to discrete measure inputs using Wasserstein gradient flows.
Using optimal transport we study some dynamical properties of expanding circle maps acting on measures by push-forward. Using the definition of the tangent space to the space of measures introduced by Gigli, their derivative at the unique absolutely continuous invariant measure is computed. In particular it is shown th…
The theory of convex risk functions has now been well established as the basis for identifying the families of risk functions that should be used in risk averse optimization problems. Despite its theoretical appeal, the implementation of a convex risk function remains difficult, as there is little guidance regarding ho…
Proposes a new framework for invariant quadratic P&L predictions in option books.
UCoS avoids forward model evaluations in sampling for large-scale linear inverse problems.
New findings on mesh group-planes validate Signature-inverse Theorem under specific conditions.
Time reversal invariance can be summarized as follows: no difference can be measured if a sequence of events is run forward or backward in time. Because price time series are dominated by a randomness that hides possible structures and orders, the existence of time reversal invariance requires care to be investigated. …
We show that the strong asymptotic class of Weil-Petersson (WP) geodesics with narrow end invariant and bounded annular coefficients is determined by the forward ending lamination. This generalizes the Recurrent Ending Lamination Theorem of Brock-Masur-Minsky. As an application we provide a symbolic condition for diver…
M. M. Nekhoroshev put forward the problem of to find the Complex Germ on a isotropic invariant torus with respect to Hamiltonian phases flows which come from k-functions in involution. This statement was partially solved in [9] establishing that if certain simplectic operator has a simple spectrum then the complex germ…
We derive a general multivariate theory for realised characteristics of `model-free discretisation-invariant swaps', so-called because the standard no-arbitrage assumption of martingale forward prices is sufficient to derive fair-value swap rates for such characteristics which have no jump or discretisation errors. Thi…
New method for dynamic valuation in markets with random endowments.
Recent work by Cohen \emph{et al.} has achieved state-of-the-art results for learning spherical images in a rotation invariant way by using ideas from group representation theory and noncommutative harmonic analysis. In this paper we propose a generalization of this work that generally exhibits improved performace, but…
This paper shows how forward rate interpolations are equivalent to discount factor interpolations in yield curve construction.
We propose here a new discretization method for a class continuum gauge theories which action functionnals are polynomials of the curvature. Based on the notion of holonomy, this discretization procedure appears gauge-invariant for discretized analogs of Yang-Mills theories, and hence gauge-fixing is fully rigorous for…
Paper explores volatility swaps in rough volatility models.
Develops a new class of forward performance processes for investment pools.
We prove here a general closed-form expansion formula for forward-start options and the forward implied volatility smile in a large class of models, including the Heston stochastic volatility and time-changed exponential Lévy models. This expansion applies to both small and large maturities and is based solely on the p…
Causal deep learning tackles causal inference using tensor factor analysis.
This paper studies robust forward investment and consumption preferences within a zero-volatility context. Different from previous works, we consider an incomplete financial market model due to general investment portfolio constraints. We provide a new PDE characterization and a novel semi-explicit saddle-point constru…
We describe a model for evolving commodity forward prices that incorporates three important dynamics which appear in many commodity markets: mean reversion in spot prices and the resulting Samuelson effect on volatility term structure, decorrelation of moves in different points on the forward curve, and implied volatil…
Demographic projections of future mortality rates involve a high level of uncertainty and require stochastic mortality models. The current paper investigates forward mortality models driven by a (possibly infinite dimensional) Wiener process and a compensated Poisson random measure. A major innovation of the paper is t…
In a Markovian stochastic volatility model, we consider financial agents whose investment criteria are modelled by forward exponential performance processes. The problem of contingent claim indifference valuation is first addressed and a number of properties are proved and discussed. Special attention is given to the c…
The paper analyzes investment and consumption strategies under uncertain market conditions.
Generic model for commodity derivatives pricing.
This paper improves non-asymptotic bounds for denoising diffusions, focusing on the Ornstein-Uhlenbeck process.
We propose a multi-factor polynomial framework to model and hedge long-term electricity contracts with delivery period. This framework has several advantages: the computation of forwards, risk premium and correlation between different forwards are fully explicit, and the model can be calibrated to observed electricity …
Researchers found a family of Sp(2)-invariant solitons for Laplacian flow.
This paper deals with forward performances of HARA type. Precisely, for a market model in which stock price processes are modeled by a locally bounded -dimensional semimartingale, we elaborate a complete and explicit characterization for this type of forward utilities. Furthermore, the optimal portfolios for each of…
Study of portfolio management under relative performance concerns using mean field games.
The idea of forward rates stems from interest rate theory. It has natural connotations to transition rates in multi-state models. The generalization from the forward mortality rate in a survival model to multi-state models is non-trivial and several definitions have been proposed. We establish a theoretical framework f…
In the LIBOR market model, forward interest rates are log-normal under their respective forward measures. This note shows that their distributions under the other forward measures of the tenor structure have approximately log-normal tails.
Forward-prediction models enhance physical reasoning, but only for specific tasks.
A new method computes gradients without backpropagation.
Study pricing options on forward contracts using infinite-dimensional affine models.
Diamonds help compute volatility models efficiently.
A Wasserstein spaces is a metric space of sufficiently concentrated probability measures over a general metric space. The main goal of this paper is to estimate the largeness of Wasserstein spaces, in a sense to be precised. In a first part, we generalize the Hausdorff dimension by defining a family of bi-Lipschitz inv…
China uses two Renminbi markets to hedge cross-border risks, leading to a price discrepancy.